@article{2280564810bd43ebaec371989e6e535d,
title = "The MOSUM of squares test for monitoring variance changes",
abstract = "In this paper we propose the MOSUM of squares test for monitoring potential variance changes when new observations arrive. It is shown that the limiting distribution of the proposed test is determined by the increments of the Brownian bridge. Finite-sample simulations examine empirical sizes and average detection delays of the proposed test. We apply the proposed test to study how soon a variance change can be detected for the yen/$ exchange rate and the S&P 500 stock index.",
keywords = "Currency crisis, MOSUM of squares test, Monitoring structural change",
author = "Hsu, {Chih Chiang}",
note = "Funding Information: I thank the editor and the anonymous referees for their useful comments and suggestions on the original manuscript. Financial support is acknowledged from the National Science Council of the Republic of China (NSC89-2415-H-008-009). ",
year = "2007",
month = dec,
doi = "10.1016/j.frl.2007.09.003",
language = "???core.languages.en_GB???",
volume = "4",
pages = "254--260",
journal = "Finance Research Letters",
issn = "1544-6123",
number = "4",
}